Deputy Manager | Credit Risk Quant | Delhi | Regulatory & Financial Risk

Deputy Manager | Credit Risk Quant | Delhi | Regulatory & Financial Risk
• Job requisition ID : 108560 
• Location: Delhi
• Entity: Deloitte Touche Tohmatsu India LLP 

The team

Deloitte Strategy, Risk & Transaction helps entities mitigate risk while discovering new opportunities to create value. Our end-to-end risk services span all domains, from managing strategic risks in the C-Suite to improving board oversight, and from balancing financial and environmental policies to addressing cyber threats. Learn more about Risk, Regulatory & Forensic)

Your work profile

• Perform independent validation of Advanced IRB / Foundation IRB models including:
• PD, LGD, EAD, and CCF modelling methodologies
• Rating system design and performance
• RWA attribution and capital impact assessment
• Assess model methodologies and assumptions for diverse wholesale product exposures including:
• Corporate and SME lending (term loans, revolving credit, working capital facilities)
• Project and infrastructure finance
• Financial institutions & sovereign portfolios
• Commercial Real Estate (CRE) and income-producing real estate
• Trade finance, supply chain, and asset-based lending
• Leveraged finance and private capital exposures
• Evaluate model conceptual soundness, data representativeness, risk differentiation, and calibration methodology
• Review and challenge:
• Model segmentation, overrides, downturn calibration, and economic cycle considerations
• Treatment of collateral, guarantees, credit mitigants, and default definitions
• Regulatory compliance with Basel III/IV IRB requirements and regional supervisory rules
• Conduct model performance testing including:
• Discriminatory power, back-testing, stability monitoring, sensitivity, and benchmarking
• Prepare high-quality validation documentation with clear findings, limitations, and remediation actions
• Support regulatory engagements, addressing model findings, remediation evidence, and audit requests
• Partner with Model Development, Credit Policy, Data Governance, and Capital Management teams to ensure models are fit-for-purpose and well-controlled

Key skills required: 

• Experience with Corporate lending, project finance, commercial real estate, private equity exposures
• Stress testing frameworks (CCAR/ICAAP) and IRB-to-IFRS 9 model linkages
• Regulatory interactions with PRA, ECB, Fed/OCC, OSFI, etc.
• Ability to articulate quantitative findings to non-technical senior stakeholders
• Core Competencies
• Effective challenge and independent risk oversight mindset
• High attention to detail and documentation discipline
• Stakeholder influencing and relationship management
• Ability to manage multiple validations under tight timelines
• Desired qualifications
• Experience in modelling or validation of Wholesale IRB capital models, IFRS9, Climate Risk Modelling experience within large banking organizations
• Strong technical skills in Python, R, SAS, SQL and knowledge of credit modelling statistics
• Deep knowledge of:
• IRB rating system architecture and approvals
• Basel III/IV capital rules for wholesale credit
• Model risk governance expectations (e.g., SR 11-7)
• Strong analytical judgment and written communication skills
• Desired qualifications Master’s degree or higher in Quantitative Finance, Statistics, Mathematics, Engineering, or related field
• 4 to 6 years of experience in modelling or validation of Wholesale IRB capital models, IFRS9, Climate Risk Modelling experience within large banking organizations
• Strong technical skills in Python, R, SAS, SQL and knowledge of credit modelling statistics